Gambling for resurrection and the heat equation on a triangle

DOI10.1007/S00245-020-09741-9zbMath1489.60069OpenAlexW2997722911MaRDI QIDQ2234319

Chao Zhou, Christophette Blanchet-Scalliet, Stefan Ankirchner, Nabil Kazi-Tani

Publication date: 19 October 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-020-09741-9

zbMATH Keywords

heat equationstochastic controlhitting probability

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Martingales with continuous parameter (60G44) Series solutions to PDEs (35C10)

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